An extended likelihood framework for modelling discretely observed credit rating transitions
Year of publication: |
2019
|
---|---|
Authors: | Pfeuffer, Marius ; Möstel, Linda ; Fischer, Matthias |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 19.2019, 1, p. 93-104
|
Subject: | EM algorithm | Embedding problem | Generator matrix | Genetic algorithm | Markov chain | Simulated annealing | Markov-Kette | Theorie | Theory | Evolutionärer Algorithmus | Evolutionary algorithm | Kreditwürdigkeit | Credit rating | Algorithmus | Algorithm | Simulation | Mathematische Optimierung | Mathematical programming | Kreditrisiko | Credit risk |
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